What color space should I use for 16bit sculpting brush alphas?
the comments section suggested I go with EXR for all my brushes. This sounds like a great idea, but I'd like to know what the difference is compared to PSD. Every third party brush set I've ever downloaded is usually PSD. What do I gain by converting from PSD to EXR?


PSD is an undocumented and proprietary format. The only reason it works beyond Adobe is the work of many countless people who have painfully peeled apart some of the internal workings.
OpenEXR, in contrast, is an openly developed library used and trusted by people and companies with massive investment in imaging. Some of the top minds in open imaging have contributed to the format, and it is an exemplary format for performance, compression, metadata, and many other facets.
EXR is a float based format, which provides the granularity required for communicating things other than colour data. For example, normals, depth, and other data are perfectly well suited for EXR, while challenging to impossible in the vast array of other formats.
The Proof is In The Pudding. Try your brushes in well designed software and you should see the impact immediately.

In the end, you make the choice. If you analyze the effect of the file encoding on the quality of the work, the choice should become rather self evident.